The Failure of Orthogonality under Nonstationarity: Should We Care About It?
We consider two well-known facts in econometrics: (i) the failure of the orthogonality assumption (i.e., no independence between the regressors and the error term), which implies biased and inconsistent Least Squares (LS) estimates and (ii) the consequences of using nonstationary variables, acknowle...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2011-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2011/329870 |